Answer: How to add class to link in wp_nav_menu?

I have solution to add class to anchor tag.

1: Step: add this in functions.php

function add_additional_class_on_a($classes, $item, $args)
{
    if (isset($args->add_a_class)) {
        $classes['class'] = $args->add_a_class
    }
    return $classes;
}

add_filter('nav_menu_link_attributes', 'add_additional_class_on_a', 1, 3);

2: Then use it like this in your theme

<?php
        // Show Menu here
        wp_nav_menu(array(
            'theme_location'